Yes, it is strongly recommended to train both bjj and muay thai at the same time. Especially, if you are looking to become a well rounded martial artist but as always you should make recovery a priority.
The best martial arts for self-defense is a combination of Brazilian Jiu jitsu, Muay Thai, and wrestling. An effective martial art should include live sparring and high level competition.
No, jiu jitsu alone does not build muscle in the sense that pure weight lifting does.
On average the basic bjj class burned 575 calories and an advanced bjj class (more sparring*) burned 750 calories for a 190 lb male.